To promote the efficient use of energy storage and renewable consumption in integrated system (IES), an economic dispatch strategy for concentrating solar power (CSP)-IES with generalized a conditional value-at-risk (CVaR) model is proposed. First, considering characteristics distributed supply timing, CSP-IES configuration established by using CSP plant to achieve thermal decoupling combined h...

The problem of optimal portfolio selection has attracted a great attention in the finance and optimization field. The future stock price should be predicted in an acceptable precision, and a suitable model and criterion for risk and the expected return of the stock portfolio should be proposed in order to solve the optimization problem. In this paper, two new criterions for the risk of stock pr...

Risk occupies a central role in both the theory and practice of decision-making. Although it is deeply implicated many conditions involving dysfunctional behavior thought, modern theoretical approaches to understanding mitigating risk, either one-shot or sequential settings, have yet permeate fully fields neural reinforcement learning computational psychiatry. Here we use one prominent approach...

In this paper, we apply a combined revenue sharing and buyback contract to investigate the channel coordination of two-echelon supply chain with loss-averse retailer. Since decision makers usually take on more risks, Conditional Value-at-Risk (CVaR) measure is introduced hedge against it retailer’s objective maximize CVaR utility. We obtain optimal order quantity under contract. It shown that t...

This paper proposes the PROMETHEE II based multicriteria approach for cryptocurrency portfolio selection. Such an allows considering a number of variables important cryptocurrencies rather than limiting them to commonly employed return and risk. The proposed multiobjective decision making model gives best daily return, standard deviation, value-at-risk, conditional volume, market capitalization...

Modern Portfolio Theory (MPT) is based upon the classical Markowitz model which uses variance as a risk measure. A generalisation of this approach leads to mean-risk models, in which a return distribution is characterised by the expected value of return (desired to be large) and a ”risk” value (desired to be kept small). Portfolio choice is made by solving an optimisation problem, in which the ...

We consider a production planning problem under uncertainty in which companies have to make product allocation decisions such that the risk of failing regulatory inspections of sites and consequently losing revenue is minimized. In the proposed decision model the regulatory authority is an adversary. The outcome of an inspection is a Bernoulli-distributed random variable whose parameter is a fu...

Conflicting objectives becomes a common issue in many supply chain network optimization problems. In this paper, a new model is formulated to design a green supply chain network through a new mixed integer linear programming problem. Uncertain demand and stochastic environmental respect levels are the main parameters of the formulation. The first objective function minimizes the cost of the sup...

Conditional value at risk (CVaR) is a popular measure for quantifying portfolio risk. Sensitivity analysis of CVaR common in management and gradient-based optimization algorithms. In this paper, we study the infinitesimal perturbation estimator sensitivity using randomized quasi-Monte Carlo (RQMC) simulation. RQMC has proved valuable financial option pricing with better rate convergence compare...

We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. The metrics used include Lower Partial Moments (LPM), Value at Risk (VaR) and Conditional Value at Risk (CVAR). Comparisons are applied to a number of hedging strategies in...